Advanced Programming in Quantitative Economics
Introduction
This page contains the material for the course on Advanced Programming in Quantitative Economics at the Danish Graduate Program in Econometrics. This is a graduate program for Economics students at the University of Aarhus and the University of Copenhagen, in cooperation with CREATES.The course is taught in the week of 23-27 August 2010, at the University of Aarhus, by Henning Bunzel and myself.
The material for the course will be made available and/or updated for a large part during the week. Before that time, some of the links below may be missing.
Exam
The exam for the course is due before Friday October 22, 2010, at 9:00AM to cbos@feweb.vu.nl.Note that the original version of the exam contained a typo in the equation concerning the first observation. It should read
r_0 ~ N(mu, s_0^2)The original version claimed that the expected return was 0 instead of mu.
Material
Material for the Programming course:| File | Explanation |
|---|---|
| Program | Program for the week |
| Exercise elim, e0_elim.ox | Initial exercise, to study before the course |
| ibm0908tick.csv | IBM Tick data, September 2008 |
| fxukjpdm.mat | FX exchange rate data fxukjpdm.mat |
| genrdur.fmt | Some generated duration data (1000 rows with y, x1, x2) |
| students4.zip | List of files for students |
| t.ox | Template t.ox for starting new file |
| backsubst.ox | File for backsubstitution, as typed in Monday afternoon class. |
| nedit.rc | Nedit settings file, place in $HOME/.nedit. Includes all kinds of settings for Ox and LaTeX, on Linux |
| olsgen3b.zip | Three strages of the program on OLSGen, estimating the regression model using Maximum Likelihood |
| Lecture | Tutorial | Syntax | |||
|---|---|---|---|---|---|
| Day | Morning | Afternoon | Morning | Afternoon | |
| Monday | 1up, 4up | 1up, 4up | 1up, 4up | 1up, 4up | 1up, 4up |
| Tuesday | 1up, 4up | 1up, 4up | 1up, 4up | 1up, 4up | |
| Wednesday | 1up, 4up | 1up, 4up | 1up, 4up | 1up, 4up | |
| Thursday | 1up, 4up | 1up, 4up | 1up, 4up | ||
| Th alt | 1up, 4up | ||||
| Friday | 1up, 4up | 1up, 4up | 1up, 4up | ||
| All | 4up zip | 4up zip | |||
Installation material
- Download Ox installation files from http://www.doornik.com/
- Install optional packages like SsfPack, GnuDraw, OxUtils, DPD; for an overview of available packages, see http://www.doornik.com/download.html.
- For using GnuDraw, additionally install GnuPlot into c:\program files
- More detailed instructions are available.
Other material
An Ox users list is available at JiscMail.Another way of getting started with Ox is to study the Introduction to Ox by Jurgen Doornik and Marius Ooms.